Row

Rank

Predicted Beta

Idiosyncratic Volatility

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Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 11 13 11
Score -0.42 1.83 0.38
Market Cap (Millions USD) NA NA NA
Predicted Beta 0.2 0.2 0.2
Idiosyncratic Volatility 0.4 0.55 0.59

Annualized return and volatility

JVMSX
Annualized Return 0.1200
Annualized Std Dev 0.1538
Annualized Sharpe (Rf=0%) 0.7802

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Daily Return Statistics

JVMSX
Observations 2002.0000
NAs 3112.0000
Minimum -0.1404
Quartile 1 -0.0036
Median 0.0007
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0053
Maximum 0.1596
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0009
Variance 0.0001
Stdev 0.0097
Skewness 0.3516
Kurtosis 58.7702

Downside Risk

JVMSX
Semi Deviation 0.0070
Gain Deviation 0.0070
Loss Deviation 0.0079
Downside Deviation (MAR=210%) 0.0117
Downside Deviation (Rf=0%) 0.0068
Downside Deviation (0%) 0.0068
Maximum Drawdown 0.2397
Historical VaR (95%) -0.0140
Historical ES (95%) -0.0219
Modified VaR (95%) -0.0030
Modified ES (95%) -0.0030
From Trough To Depth Length To Trough Recovery
2018-01-29 2018-12-24 2019-11-04 -0.2397 453 233 220
2015-05-19 2016-02-11 2016-06-02 -0.1842 267 189 78
2013-05-22 2013-07-02 2013-07-08 -0.1518 33 30 3
2012-03-27 2012-06-04 2012-09-07 -0.1133 118 49 69
2014-09-08 2014-10-15 2014-11-05 -0.0974 44 28 16

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Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec JVMSX
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA NA NA NA NA NA NA
2002 NA NA NA NA NA NA NA NA NA NA NA NA NA
2003 NA NA NA NA NA NA NA NA NA NA NA NA NA
2004 NA NA NA NA NA NA NA NA NA NA NA NA NA
2005 NA NA NA NA NA NA NA NA NA NA NA NA NA
2006 NA NA NA NA NA NA NA NA NA NA NA NA NA
2007 NA NA NA NA NA NA NA NA NA NA NA NA NA
2008 NA NA NA NA NA NA NA NA NA NA NA NA NA
2009 NA NA NA NA NA NA NA NA NA NA NA NA NA
2010 NA NA NA NA NA NA NA NA NA NA NA NA NA
2011 NA NA NA NA NA NA NA NA NA NA NA NA NA
2012 NA NA 0.0 0.4 -3.0 0.0 -0.6 0.0 -0.1 2.0 0.0 0 -1.3
2013 1.1 -0.1 -0.8 -1.4 0.0 0.8 1.8 0.0 1.0 0.3 0.0 0 2.6
2014 0.0 0.0 0.9 0.1 0.0 0.8 -0.2 0.0 -1.2 0.0 -0.8 0 -0.4
2015 0.0 0.0 -0.4 1.2 0.1 0.8 0.0 -2.9 0.2 0.0 1.0 0 0.0
2016 -0.1 2.5 0.6 0.0 0.2 0.1 -0.5 0.0 0.0 -0.6 -0.2 0 2.0
2017 -0.1 1.6 0.0 0.2 1.2 0.0 0.2 0.4 0.0 0.0 0.0 0 3.6
2018 0.2 -0.9 0.0 0.0 0.7 0.0 -0.5 0.0 -0.2 1.6 0.0 0 1.0
2019 0.6 0.5 1.5 -0.8 0.0 0.6 -1.4 0.0 -2.1 1.4 0.0 0 0.4

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Rolling Performance Chart

Snail Trail Chart